Measures the sensitivity of an option's value to a change in the risk-free rate.

in interest rates as they are to, say, changes in volatilities. An option's sensitivity to interest rate changes is called its rho.

There are a few other greeks in addition to the ones we have discussed, but we will end our Greek lesson here. What we now discuss is a very important use of Black-Scholes: the calculation of implied volatilities.

For an option-oriented web site focusing on volatilities, visit .

implied standard deviation

An estimate of the future standard deviation of the return on an asset obtained from the Black-Scholes OPM.

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